Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - Department of Economics, Faculty of Economic and … - 2014
This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...